Investigation of Upper Bound for the Ruin Probability by Approximate Methods in a Nonlinear Risk Model with Gamma Claims
Küçük Resim Yok
Tarih
2023
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Institute of Electrical and Electronics Engineers Inc.
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
This study considers a non-linear Cramér-Lundberg model of the risk theory and investigates the adjustment coefficient when the claims have gamma distribution. The ruin probability of this non-linear risk model is considered when the premium function is square root of time. Thus, in this study, the adjustment coefficient is explored by numerical methods and proposed an approximate formula for practical calculation of adjustment coefficient. Moreover, an implementation of the obtained approximate formula, which investigates ruin probability, is included as an example at the end of the paper. © 2023 IEEE.
Açıklama
5th International Conference on Problems of Cybernetics and Informatics, PCI 2023 -- 28 August 2023 through 30 August 2023 -- Baku -- 195003
Anahtar Kelimeler
adjustment coefficient, gamma distribution, non-linear Cramer-Lundberg risk model, ruin probability
Kaynak
2023 5th International Conference on Problems of Cybernetics and Informatics, PCI 2023
WoS Q Değeri
Scopus Q Değeri
N/A
